Code I wrote to perform the simulation experiment in my undergraduate thesis. The code is written in the R programming language. The files are: The Hypothesis Tests script, (hypothesisIntervals file) the Threshold Search and Selection Algorithm, (gibbsThreshSearch file) the proposed Metropolis-Hastings sampling algorithm for the extreme value generating process (sample simulations in this experiment), (RWmetropolis file) Frechet, Pareto, Log-Logistic and Mixture (Gamma-Pareto) simlations, (simulation files) the Goodness of Fit tests for each sample and results (GFTsimulations file)
The random variables are: X ~ Frechet sample Y ~ Pareto sample Z ~ Log-Logistic sample W ~ Mixture sample
The script runs on the saved simulations; nevertheless, it's possible to carry out multiple simulation experiments, but the scripts presented here are the ones used to obtain the results presented in the thesis.